This paper considers the linkage between stock prices and exchange rates in four MENA (Middle East and North Africa) emerging markets. In contrast to the existing evidence that uses a global market index to uncover such a relationship it is found that for the sample countries oil prices emerge as the dominant factor in the above relationship. The paper considers the presence of regime shifts and evidence is found of cointegration only for the period following the 1999 oil price shock. Readjustment towards equilibrium in each stock market occurs via oil price changes. Finally, a number of robustness checks are performed and persistence profiles produced.

Chortareas, G., Cipollini, A., Eissa, M.A. (2011). Exchange Rates and Stock Prices in the MENA countries: What Role for Oil?. REVIEW OF DEVELOPMENT ECONOMICS, 15 [10.1111/j.1467-9361.2011.00641.x].

Exchange Rates and Stock Prices in the MENA countries: What Role for Oil?

CIPOLLINI, Andrea;
2011-01-01

Abstract

This paper considers the linkage between stock prices and exchange rates in four MENA (Middle East and North Africa) emerging markets. In contrast to the existing evidence that uses a global market index to uncover such a relationship it is found that for the sample countries oil prices emerge as the dominant factor in the above relationship. The paper considers the presence of regime shifts and evidence is found of cointegration only for the period following the 1999 oil price shock. Readjustment towards equilibrium in each stock market occurs via oil price changes. Finally, a number of robustness checks are performed and persistence profiles produced.
2011
Chortareas, G., Cipollini, A., Eissa, M.A. (2011). Exchange Rates and Stock Prices in the MENA countries: What Role for Oil?. REVIEW OF DEVELOPMENT ECONOMICS, 15 [10.1111/j.1467-9361.2011.00641.x].
File in questo prodotto:
Non ci sono file associati a questo prodotto.

I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.

Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/10447/99050
Citazioni
  • ???jsp.display-item.citation.pmc??? ND
  • Scopus 12
  • ???jsp.display-item.citation.isi??? 9
social impact